Related papers: Asymmetric Doob inequalities in continuous time

We work in the setting of the progressive enlargement $\mathbb G$ of a reference filtration $\mathbb F$ through the observation of a random time $\tau$. We study an integral representation property for some classes of $\mathbb…

We study the predictable representation property in the progressive enlargement F^\tau of a reference filtration F by a random time \tau. Our approach is based on the decomposition of any random time into two parts, one overlapping…

For any two real-valued continuous-path martingales $X=\{X_t\}_{t\geq 0}$ and $Y=\{Y_t\}_{t\geq 0}$, with $X$ and $Y$ being orthogonal and $Y$ being differentially subordinate to $X$, we obtain sharp $L^p$ inequalities for martingales of…

We develop a unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}^{\sigma,\mu}[\varphi(u)]=f \quad\quad\text{in}\quad\quad…

This paper presents new sufficient conditions for convergence and asymptotic or exponential stability of a stochastic discrete-time system, under which the constructed Lyapunov function always decreases in expectation along the system's…

Convexity properties of the entropy along displacement interpolations are crucial in the Lott-Sturm-Villani theory of lower bounded curvature of geodesic measure spaces. As discrete spaces fail to be geodesic, an alternate analogous theory…

Motivated by a discrete inequality problem proposed by Duanyang Zhang as Problem 6 of the 2022 Spring NSMO, we prove a median version of Hardy's inequality. For a nonnegative function $f\in L^p(0,\infty)$, $p>1$, let $A(t)$ be the average…

The problem of discrete universal filtering, in which the components of a discrete signal emitted by an unknown source and corrupted by a known DMC are to be causally estimated, is considered. A family of filters are derived, and are shown…

We consider the problem of approximating the reachability probabilities in Markov decision processes (MDP) with uncountable (continuous) state and action spaces. While there are algorithms that, for special classes of such MDP, provide a…

This paper develops a continuous-time primal-dual accelerated method with an increasing damping coefficient for a class of convex optimization problems with affine equality constraints. This paper analyzes critical values for parameters in…

A convergence theorem for martingales with c\`adl\`ag trajectories (right continuous with left limits everywhere) is obtained in the sense of the weak dual topology on Hilbert space, under conditions that are much weaker than those required…

For rank 1 flat symmetric spaces, continuous orbital measures admit absolutely continuous convolution squares, except for Cartan type AI. Hence $L^1$-$L^2$ dichotomy for these spaces holds true in parallel to the compact and non-compact…

In this paper we derive the density $\varphi$ of the first time $T$ that a continuous martingale $M$ with non-random quadratic variation $<M>_\cdot:=\int_0^\cdot h^2(u)du$ hits a moving boundary $f$ which is twice continuously…

We prove optimal ${L}^2$ bounds for a pair of Hilbert space valued differentially subordinate martingales under a change of law. The change of law is given by a process called a weight and sharpness in this context refers to the optimal…

We establish unique continuation for various discrete nonlinear wave equations. For example, we show that if two solutions of the Toda lattice coincide for one lattice point in some arbitrarily small time interval, then they coincide…

Let $X=\{X(t),t\in R_+\}$ be a real-valued symmetric L\'{e}vy process with continuous local times $\{L^x_t,(t,x)\in R_+\times R\}$ and characteristic function $Ee^{i\lambda X(t)}=e^{-t\psi(\lambda)}$. Let…

Motivated by the analysis of the propagation of internal waves in a stratified ocean, we consider in this article the incompressible Euler equations with variable density in a flat strip, and we study the evolution of perturbations of the…

In this paper, we exhibit a new family of martingale couplings between two one-dimensional probability measures $\mu$ and $\nu$ in the convex order. This family is parametrised by two dimensional probability measures on the unit square with…

We initiate a study of the following problem: Given a continuous domain $\Omega$ along with its convex hull $\mathcal{K}$, a point $A \in \mathcal{K}$ and a prior measure $\mu$ on $\Omega$, find the probability density over $\Omega$ whose…

In this paper, we consider nonconvex optimization problems with nonsmooth nonconvex objective function and nonlinear equality constraints. We assume that both the objective function and the functional constraints can be separated into 2…